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Prospect theory and the risk-return paradox: some recent evidence

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  • Pin-Huang Chou
  • Robin Chou
  • Kuan-Cheng Ko

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  • Pin-Huang Chou & Robin Chou & Kuan-Cheng Ko, 2009. "Prospect theory and the risk-return paradox: some recent evidence," Review of Quantitative Finance and Accounting, Springer, vol. 33(3), pages 193-208, October.
    • Handle: RePEc:kap:rqfnac:v:33:y:2009:i:3:p:193-208
    DOI: 10.1007/s11156-009-0109-z
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    1. Horowitz, Joel L. & Loughran, Tim & Savin, N. E., 2000. "Three analyses of the firm size premium," Journal of Empirical Finance, Elsevier, vol. 7(2), pages 143-153, August.
    2. Terrance Odean, 1998. "Are Investors Reluctant to Realize Their Losses?," Journal of Finance, American Finance Association, vol. 53(5), pages 1775-1798, October.
    3. Tyler Shumway & Vincent A. Warther, 1999. "The Delisting Bias in CRSP's Nasdaq Data and Its Implications for the Size Effect," Journal of Finance, American Finance Association, vol. 54(6), pages 2361-2379, December.
    4. Brown, Stephen J, et al, 1992. "Survivorship Bias in Performance Studies," The Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 553-580.
    5. Knez, Peter J & Ready, Mark J, 1997. "On the Robustness of Size and Book-to-Market in Cross-Sectional Regressions," Journal of Finance, American Finance Association, vol. 52(4), pages 1355-1382, September.
    6. Sinha, Tapen, 1994. "Prospect theory and the risk return association: Another look," Journal of Economic Behavior & Organization, Elsevier, vol. 24(2), pages 225-231, July.
    7. Davis, James L., 1996. "The cross-section of stock returns and survivorship bias: Evidence from delisted stocks," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(3), pages 365-375.
    8. Fama, Eugene F. & French, Kenneth R., 1997. "Industry costs of equity," Journal of Financial Economics, Elsevier, vol. 43(2), pages 153-193, February.
    9. Fiegenbaum, Avi, 1990. "Prospect theory and the risk-return association : An empirical examination in 85 industries," Journal of Economic Behavior & Organization, Elsevier, vol. 14(2), pages 187-203, October.
    10. Kothari, S P & Shanken, Jay & Sloan, Richard G, 1995. "Another Look at the Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 50(1), pages 185-224, March.
    11. Banz, Rolf W & Breen, William J, 1986. "Sample-Dependent Results Using Accounting and Market Data: Some Evidence," Journal of Finance, American Finance Association, vol. 41(4), pages 779-793, September.
    12. Shumway, Tyler, 1997. "The Delisting Bias in CRSP Data," Journal of Finance, American Finance Association, vol. 52(1), pages 327-340, March.
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    Cited by:

    1. Bianconi, Marcelo & Yoshino, Joe A., 2012. "Firm Market Performance and Volatility in a National Real Estate Sector," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 230-253.
    2. Díez-Esteban, José María & García-Gómez, Conrado Diego & López-Iturriaga, Félix Javier & Santamaría-Mariscal, Marcos, 2017. "Corporate risk-taking, returns and the nature of major shareholders: Evidence from prospect theory," Research in International Business and Finance, Elsevier, vol. 42(C), pages 900-911.
    3. Riccardo Camilli & Alessandro Mechelli & Alessandra Stefanoni & Fabrizio Rossi, 2023. "Addressing Managerial Loss Aversion for the Corporate Value Creation Process: A Critical Analysis of the Literature and Preliminary Approaches," Administrative Sciences, MDPI, vol. 14(1), pages 1-16, December.
    4. Jiménez, Alfredo & Delgado-García, Juan Bautista, 2012. "Proactive management of political risk and corporate performance: The case of Spanish multinational enterprises," International Business Review, Elsevier, vol. 21(6), pages 1029-1040.
    5. Ranjan Das Gupta & Rajesh Pathak, 2018. "Firm’s Risk-Return Association Facets and Prospect Theory Findings—An Emerging versus Developed Country Context," Risks, MDPI, vol. 6(4), pages 1-32, December.
    6. Lefebvre, Mathieu & Vieider, Ferdinand M., 2014. "Risk taking of executives under different incentive contracts: Experimental evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 97(C), pages 27-36.
    7. Farrukh Mahmood & Robert M. Kunst, 2023. "Modeling nonlinear in Bowman’s paradox: the case of Pakistan," Empirical Economics, Springer, vol. 64(5), pages 2357-2372, May.

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    More about this item

    Keywords

    Least trimmed squares (LTS); Prospect theory; Risk-return paradox; Survivorship bias; D81; G11;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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